This guy gives a pretty good explanation:
http://www.triumphrat.net/twins-technical-talk/131855-crankcase-breather-relocation-free-power.html

Someone correct me if needed, but I think this is the short answer. "Blow-by" gases and oil mist that get past the piston rings during combustion are currently fed back into our air filter box. The gases and oil need to be contained for environmental reasons and it also keeps the cycle cleaner.

Recycling the gases and oil mist does displace some of the clean, fresh air that the engine could be sucking in and this may drop the horsepower of the engine by a percent or so. The aftermarket filter eliminates that recycling, potentially improving power.

It sounds like you do need to occasionally drain the oil from these filters. In my case, this may be more hassle than it's worth since I go through a quart in about 1000 miles. I'm not sure if the "oil-mist" in question is directly proportional to that quart "used", but it sounds like a mess.